The Eurobaromater report, published by the European Commission, surveyed Europeans to see how they understood concepts of European citizenship and identity. One of the most interesting questions in the report focused on how European citizens viewed their relationships to their home nations and to Europe as a whole, asking whether they identified themselves only by their nationality, by nationality and then as European, as European and then by their nationality, or just as European.

Overall, British respondents were the most likely to identify themselves only by nationality, at 64%.

Notably, the British also happen to be fast approaching the June Brexit vote, which will determine whether the country wants to remain in the EU or leave. And for what it's worth, the Morgan Stanley team included this data in a section of their research note which suggested that the "Leave" vote isn't just a tail risk.

Citizens from Cyprus (57%), Greece (51%), and Latvia (48%) were also highly likely to identify themselves only by nationality.

On the flip side, Luxembourgers were the least likely to identify themselves only by nationality (17%), followed closely by then Germans (25%). Residents of these countries were much more likely to at least partially embrace a European identity.